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Add an example with Gaussian copulasΒ #236
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documentationImprovements or additions to documentationImprovements or additions to documentationenhancementNew feature or requestNew feature or requesthelp wantedExtra attention is neededExtra attention is needed
Description
It is fairly simple to generate samples from a multivariate distributions with arbitrary marginals using Gaussian copulas:
- Generate a vector of samples from a multivariate normal distribution;
- Apply the cdf of the standard normal distribution to each element of these vectors;
- Apply the inverse cdf of the marginal distributions to the corresponding elements.
Yet some PPLs wrap the whole process in custom distributions (Numpyro, TFP). I thus suggest we illustrate Aesara/AePPL's modeling capabilities on a copula example.
brandonwillard
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documentationImprovements or additions to documentationImprovements or additions to documentationenhancementNew feature or requestNew feature or requesthelp wantedExtra attention is neededExtra attention is needed